Search Results - subject:"Optimal consumption and investment"

Life insurance completeness : a path to hedging mortality and achieving financial optimization

In: Risks : open access journal 13 (2025) 5, pp. 1-21

This paper explores optimal consumption and investment strategies for agents facing mortality risk within a complete … consumption and investment, in the absence of labor income, do not necessitate annuities or other life insurance policies. Our key … perspective resolves longstanding theoretical and empirical challenges, notably the annuity puzzle, by illustrating that optimal …

Persistent link: https://www.econbiz.de/10015409017

Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters

Berdjane, Belkacem; Pergamenshchikov, Sergei - HAL - 2012

We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown...

Persistent link: https://www.econbiz.de/10010821411

Investment, income, and incompleteness

Bick, Björn; Kraft, Holger; Munk, Claus - 2009

The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very difficult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and...

Persistent link: https://www.econbiz.de/10010271456